THE HANDBOOK OF U.S. TREASURY & GOVERNMENT AGENCY SECURITIES
INSTRUMENTS, STRATEGIES AND ANALYSIS
118 N. Clinton St.
Chicago, IL 60606
Editor: Frank J. Fabozzi
Frank J. Fabozzi has compiled a distinguished group of contributors and created an impressive volume
covering the full array of fixed income securities including Treasuries, agencies, agency mortgage-backed
securities, futures and options.
The book is separated into four sections, the first of which deals with Treasury securities and
zero-coupon bonds. Some of the topics covered are butterfly and caterpillar strategies, measuring risk and
reward in the Treasury market, repurchase agreements and yield curve arbitrage.
The second section is on agency securities, which has four chapters that cover both the various agencies
and trading strategies. Trading strategies are explained based on the expected change in yield spread
relationships of agency paper compared with Treasuries.
The third section explains the basics of agency mortgage-backed securities. Three of the four chapters
explain the differences between GNMA, FHLMC and FNMA mortgage products, while the last chapter
is on analysis of mortgage pass-through securities.